CDMOP - Finding Abnormal Returns With The Russell Index Rebalancing Every June

• Studies suggest that index rebalancing anomalies generate excess risk-adjusted returns caused by stock index funds and institutional investors that benchmark the indexes.
• In my prior three-year study from 2017, abnormal gains were identified from the annual June rebalancing and some profitable strategies emerged.
• Since 2017, the best standardized results generated +57.90% in the first six months and the total average gains across the portfolios were highest at +29.04% in the first three months.
• My tests support the likelihood of high profitability from known changes in the index that "lead to a 'dramatic increase' in trading volume ratio in the month of June" (Chang et al., 2013).
• The Russell Index reconstitution starts again on June 4th, and the final index results go live on June 25th for 2021.

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